Time Series in High Dimensions: The General Dynamic Factor Model
Language: English
Published by World Scientific Pub Co Inc, 2020
- Hardcover
- New
Seller: Revaluation Books, Exeter, United KingdomRevaluation Books
AbeBooks seller since January 6, 2003
Condition: New
US$ 373.34
Quantity: 2 available
Add to basketItem description from seller
726 pages. 9.00x6.25x1.75 inches. In Stock.
Seller Inventory # x-9813278005
- Title
- Time Series in High Dimensions: The General Dynamic Factor Model
- Author
- Barigozzi, Matteo (Editor)/ Forni, Mario (Editor)/ Hallin, Marc (Editor)/ Lippi, Marco (Editor)/ Zaffaroni, Paolo (Editor)
- Publisher
- World Scientific Pub Co Inc
- Publication year
- 2020
- Condition
- Brand New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 9813278005
- ISBN 13
- 9789813278004
- Item weight
- 1.24 kilograms
Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.
"Synopsis" may belong to another edition of this title.
Revaluation Books
Exeter, United Kingdom
AbeBooks seller since January 6, 2003
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Edward Bowditch Ltd
Exstowe, Exton
Exeter, United Kingdom EX3 0PP
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Business correspondence address: Exstowe, Exton, Exeter, EX3 0PP
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Authorised representative: Mr. E. Bowditch
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